|
PureBytes Links
Trading Reference Links
|
To create the psuedo tickers, i just run the AddToComposite function
against the Equity() line generated in the backtest.
I also do one more step (that is optional) and that is to run Bruce
Robinson's FT-Write FNU AFL to export and save the resulting ticker
in my FastTrack database.
Yes, the summary system could be as easy as buying 20% of all five
and then not having any sell rules. However, I tend to look at long
back-test history and so I include provisions for quarterly or
annual rebalancing. I also allow for variable percentages in case I
determine that equal-weighting is not optimal.
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> Ron - interesting stuff. Like Ken I'm trying to do the same thing.
> I'm curious about how you create the pseudo tickers for the
individual
> equity curves...can you detail this a bit more?
>
> And I'm guessing the summary system just buys all the equity curves
@
> 20% (for example) without a sell rule?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@> wrote:
> >
> > Ken,
> >
> > I am interested in something similar. What I am trying to
achieve is
> > to "limit" the number of stocks/ETFs from a specific watchlist.
I
> > want to do this in an attempt to control/ensure diversification.
> >
> > For example, if I have a 5-position portfolio, I may want to
limit
> > the Energy sector to a maximum of 2 holdings, Tech to a max of 3,
> > Materials to a max of 1, etc.
> >
> > I have not implemented anything yet, but I am thinking something
> > along the lines of what you are thinking. My conceptual approach
is
> > to have a watchlist that contains my entire universe (or in your
case
> > a watchlist that contains all securities in your other 5
watchlists).
> >
> > My thought was to rank the entire universe, then use InWatchList
> > (EnergyETFs) to keep track of % exposure to any particular
sector. I
> > am assuming the CBT will be required and further assume that I
cannot
> > have RotationalMode enabled and that the "rotational" logic will
have
> > to be build into my AFL. I say this becuase I will also need
access
> > to current holdings and what their respective sector exposures
are
> > also.
> >
> > For your example that wants one holding from each of 5
watchlists, I
> > would probably use the following approach:
> > 1) Clear new watchlist "FinalList"
> > 2) Rank each of other 5 watchlists
> > 3) Add top-ranked security from each of 5 watchlists to FinalList
> > 4) Buy all securities in FinalList
> >
> > Another approach for your specific example (this is the approach
I
> > use for testing multi-strategy portfolios)
> > 1) Create 5 systems - 1 for each watchlist
> > 2) Run each system
> > 3) Create psuedo tickers for the 5 equity curves
> > 4) Create a 6th system that buys 20% of each of the 5 psuedo
tickers
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@> wrote:
> > >
> > > This is a concept that I can not recall ever being discussed.
> > Perhaps it has
> > > been and I just missed it or did not recognize it.
> > >
> > > It is just a concept and I have been thinking about how to
start,
> > and
> > > frankly, have few ideas. Admittedly, my skills with the custom
> > backtester
> > > are limited, and I am sure the approach lies somewhere within
the
> > custom
> > > backtester.
> > >
> > > I would like to rank each of say 5 watchlists, each of which is
> > grouped by
> > > the type of security.
> > > I would like to sort/rank and specify buying say the top stock
or
> > fund in
> > > each group.
> > > I would like to add this top ranked stock/fund to a portfolio.
> > > After a period of time, the five lists would be ranked again.
> > > If a new top stock/fund appears, the stock previously purchased
> > from this
> > > same watchlist would be sold and then new top ranked fund would
be
> > bought.
> > > And so forth down the same 5 watchlists.
> > > And backtest it all.
> > >
> > > Might it be:
> > >
> > > Set up a loop and loop through 5 watchlists
> > > Within the loop, extract the symbols.
> > > Within another loop, rank the list of symbols against some
> > metric.
> > > Sort the list (perhaps using the recently published code
by
> > FredT for
> > > getting ordinal values for members of a watchlist)
> > > Save the top symbol to a StaticVariable
> > > Complete the loop.
> > > Retrieve the symbols from the Variables
> > > Buy equal amounts
> > >
> > > Where I bog down: how to do another ranking pass say 1 month
> > later, and
> > > make buy and sell decisions based on new rankings?
> > >
> > > Again, as I said, this is just a concept. Has anyone done this
and
> > can you
> > > comment on the general approach?
> > >
> > > Is this a useful concept to discuss?
> > >
> > > Thanks for any ideas.
> > >
> > > Ken
> > >
> >
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|